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Tweets, Google trends, and sovereign spreads in the GIIPS

Dergiades, Theologos and Milas, Costas and Panagiotidis, Theodore (2015) Tweets, Google trends, and sovereign spreads in the GIIPS. Oxford Economic Papers, 67 (2). pp. 406-432.

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Abstract

We examine whether the information contained in social media (Twitter, Facebook, and Google blogs) and web search intensity (Google) influences financial markets. Using a multivariate system and focussing on Eurozone\x92s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal, and Spain) as well as two of Eurozone\x92s core countries (France and the Nethelands), we show that social media discussion and search-related queries for the Greek debt crisis provide significant short-run information primarily for the Greek-German and Irish-German government bond yield differential even when other financial control variables (international risk, Eurozone\x92s risk, default risk, and liquidity risk) are accounted for, and to a much lesser extent for Portuguese, Italian, and Spanish sovereign yield differentials. Social media discussion and Google search\x96related queries for the Greek debt crisis do not affect spreads in France and the Netherlands.

Item Type: Article
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:54
Last Modified: 13 Oct 2015 17:54
URI: http://eprints.lib.uom.gr/id/eprint/503

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